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Interdependence between foreign exchange markets and stock markets in selected European countries

Islami, Mevlud - 2008

are included in the analysis. From the cointegration analysis and VAR analysis both long-term links and short-term links …

Persistent link: https://www.econbiz.de/10010291121

Is there a Homogeneous Causality Pattern between Oil Prices and Currencies of Oil Importers and Exporters?

Beckmann, Joscha; Czudaj, Robert - 2013

Although the link between oil prices and dollar exchange rates has been frequently analyzed, a clear distinction between prices and nominal exchange rate dynamics and a clarification of the issue of causality has not been provided. In addition, previous studies have mostly neglected...

Persistent link: https://www.econbiz.de/10010319369

A Perspective on Modelling the Real Trade Weighted Index Since the Float

Aruman, Shakila; Dungey, Mardi - Research School of Economics, College of Business and … - 2001

Persistent link: https://www.econbiz.de/10004967982

Why has the Norwegian krone exchange rate been persistently weak? A fully simultaneous VAR approach

Benedictow, Andreas; Hammersland, Roger - 2022

We identify variables that help explain the persistent weakness of the Norwegian krone since 2016 within a fully simultaneous model of the underlying process driving the krone-euro exchange rate. In addition to a set of fundamental variables we consider non-traditional explanatory variables...

Persistent link: https://www.econbiz.de/10013480202

Interdependence Between Foreign Exchange Markets and Stock Markets in Selected European Countries

Islami, Mevlud - Universitätsbibliothek Wuppertal, University Library - 2008

are included in the analysis. From the cointegration analysis and VAR analysis both long-term links and short-term links …

Persistent link: https://www.econbiz.de/10008540484

Strong comovements of exchange rates: Theoretical and empirical cases when currencies become the same asset

Kühl, Michael - Center for Globalization and Europeanization of the … - 2008

cointegration vector that is consistent with the triangular arbitrage condition. In a first step, it is theoretically derived under …-rate identity to test for cointegration, i.e. deducing recursively. Thirdly, it applies the cointegration methodology within a … triangular framework by detecting cointegration between exchange rates that are not only denominated in U.S. dollars. And lastly …

Persistent link: https://www.econbiz.de/10005593799

Interdependence Between Foreign Exchange Markets and Stock Markets in Selected European Countries

Islami, Mevlud - Universitätsbibliothek Wuppertal, University Library - 2008

are included in the analysis. From the cointegration analysis and VAR analysis both long-term links and short-term links …

Persistent link: https://www.econbiz.de/10004981626

Exchange Rates and Order Flow in the Long Run

Boyer, M. Martin; Norden, Simon van - Centre Interuniversitaire de Recherche en Analyse des … - 2006

Several recent papers have underlined the importance of the microstructure effects in understanding exchange rate behavior by documenting stable long-run relationships between cumulated order flows and spot exchange rates. This stands in contrast to the widely-studied failure of exchange rates...

Persistent link: https://www.econbiz.de/10005100932

Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models

Groen, J.J.J.; Kleibergen, F. - de Nederlandsche Bank - 2001

We propose in this paper a likelihood-based framework for cointegration analysis in panels of a fixed number of vector … cointegration rank across the individual vector error correction models, both with heterogeneous and homogeneous cointegrating …

Persistent link: https://www.econbiz.de/10005021870

Did quantitative easing affect interest rates outside the US? : new evidence based on interest rate differentials

Belke, Ansgar; Gros, Daniel; Osowski, Thomas - 2016

This paper explores the effects of non-standard monetary policies on international yield relationships. Based on a descriptive analysis of international long-term yields, we find evidence that long-term rates have followed a global downward trend prior to as well as during the financial crisis....

Persistent link: https://www.econbiz.de/10011414128